- Add PositionTracker.sol: tracks position lifecycle (open/close per recenter), records tick ranges, liquidity, entry/exit blocks/timestamps, token amounts (via LiquidityAmounts math), fees (proportional to liquidity share), IL (LP exit value − HODL value at exit price), and net P&L per position. Aggregates total fees, cumulative IL, net P&L, rebalance count, Anchor time-in-range, and capital efficiency accumulators. Logs with [TRACKER][TYPE] prefix; emits cumulative P&L every 500 blocks. - Modify StrategyExecutor.sol: add IUniswapV3Pool + token0isWeth to constructor (creates PositionTracker internally), call tracker.notifyBlock() on every block for time-in-range, and call tracker.recordRecenter() on each successful recenter. logSummary() now delegates to tracker.logFinalSummary(). - Modify BacktestRunner.s.sol: pass sp.pool and token0isWeth to StrategyExecutor constructor; log tracker address. - forge fmt: reformat all backtesting scripts and affected src/test files to project style (number_underscore=thousands, multiline_func_header=all). Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
openhands
parent
a491ecb7d9
commit
cfcf750084
12 changed files with 666 additions and 244 deletions
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@ -1,10 +1,12 @@
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// SPDX-License-Identifier: GPL-3.0-or-later
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pragma solidity ^0.8.19;
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import { console2 } from "forge-std/console2.sol";
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import { IERC20 } from "@openzeppelin/token/ERC20/IERC20.sol";
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import { LiquidityManager } from "../../src/LiquidityManager.sol";
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import { ThreePositionStrategy } from "../../src/abstracts/ThreePositionStrategy.sol";
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import { PositionTracker } from "./PositionTracker.sol";
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import { IERC20 } from "@openzeppelin/token/ERC20/IERC20.sol";
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import { IUniswapV3Pool } from "@uniswap-v3-core/interfaces/IUniswapV3Pool.sol";
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import { console2 } from "forge-std/console2.sol";
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/**
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* @title StrategyExecutor
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@ -17,6 +19,10 @@ import { ThreePositionStrategy } from "../../src/abstracts/ThreePositionStrategy
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* - Fees collected (WETH + KRK) as the delta of feeDestination's balances
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* - Revert reason on failure (logged and skipped — replay never halts)
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*
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* Position tracking and P&L metrics are delegated to PositionTracker, which is
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* notified on every block (for time-in-range) and on each successful recenter
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* (for position lifecycle and fee/IL accounting).
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*
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* Access model: StrategyExecutor must be set as recenterAccess on the LM so that
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* the cooldown and TWAP price-stability checks are bypassed in the simulation
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* (vm.warp advances simulated time, not real oracle state).
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@ -37,6 +43,8 @@ contract StrategyExecutor {
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address public immutable feeDestination;
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/// @notice Minimum block gap between recenter attempts.
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uint256 public immutable recenterInterval;
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/// @notice Position tracker — records lifecycle, fees, and P&L for each position.
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PositionTracker public immutable tracker;
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// -------------------------------------------------------------------------
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// Runtime state
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@ -55,13 +63,16 @@ contract StrategyExecutor {
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IERC20 _wethToken,
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IERC20 _krkToken,
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address _feeDestination,
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uint256 _recenterInterval
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uint256 _recenterInterval,
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IUniswapV3Pool _pool,
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bool _token0isWeth
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) {
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lm = _lm;
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wethToken = _wethToken;
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krkToken = _krkToken;
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feeDestination = _feeDestination;
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recenterInterval = _recenterInterval;
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tracker = new PositionTracker(_pool, _token0isWeth);
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}
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// -------------------------------------------------------------------------
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@ -70,9 +81,13 @@ contract StrategyExecutor {
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/**
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* @notice Attempt a recenter if enough blocks have elapsed since the last one.
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* Always notifies the tracker of the current block for time-in-range accounting.
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* @param blockNum Current block number (as advanced by EventReplayer via vm.roll).
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*/
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function maybeRecenter(uint256 blockNum) external {
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// Always notify the tracker so time-in-range is counted for every observed block.
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tracker.notifyBlock(blockNum);
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if (blockNum - lastRecenterBlock < recenterInterval) return;
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// Snapshot pre-recenter positions.
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@ -103,9 +118,7 @@ contract StrategyExecutor {
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}
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if (!success) {
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console2.log(
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string.concat("[recenter SKIP @ block ", _str(blockNum), "] reason: ", failReason)
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);
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console2.log(string.concat("[recenter SKIP @ block ", _str(blockNum), "] reason: ", failReason));
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return;
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}
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@ -117,14 +130,56 @@ contract StrategyExecutor {
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uint256 feesWeth = wethToken.balanceOf(feeDestination) - wethPre;
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uint256 feesKrk = krkToken.balanceOf(feeDestination) - krkPre;
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// Record recenter in position tracker.
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tracker.recordRecenter(
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PositionTracker.PositionSnapshot({
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floorLiq: fLiqPre,
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floorLo: fLoPre,
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floorHi: fHiPre,
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anchorLiq: aLiqPre,
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anchorLo: aLoPre,
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anchorHi: aHiPre,
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discLiq: dLiqPre,
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discLo: dLoPre,
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discHi: dHiPre
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}),
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PositionTracker.PositionSnapshot({
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floorLiq: fLiqPost,
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floorLo: fLoPost,
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floorHi: fHiPost,
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anchorLiq: aLiqPost,
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anchorLo: aLoPost,
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anchorHi: aHiPost,
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discLiq: dLiqPost,
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discLo: dLoPost,
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discHi: dHiPost
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}),
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feesWeth,
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feesKrk,
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blockNum,
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block.timestamp
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);
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_logRecenter(
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blockNum,
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fLiqPre, fLoPre, fHiPre,
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aLiqPre, aLoPre, aHiPre,
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dLiqPre, dLoPre, dHiPre,
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fLiqPost, fLoPost, fHiPost,
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aLiqPost, aLoPost, aHiPost,
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dLiqPost, dLoPost, dHiPost,
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fLiqPre,
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fLoPre,
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fHiPre,
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aLiqPre,
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aLoPre,
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aHiPre,
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dLiqPre,
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dLoPre,
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dHiPre,
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fLiqPost,
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fLoPost,
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fHiPost,
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aLiqPost,
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aLoPost,
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aHiPost,
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dLiqPost,
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dLoPost,
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dHiPost,
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feesWeth,
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feesKrk
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);
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@ -146,36 +201,11 @@ contract StrategyExecutor {
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console2.log("Total recenters: ", totalRecenters);
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console2.log("Failed recenters: ", failedRecenters);
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console2.log("Recenter interval:", recenterInterval, "blocks");
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console2.log(
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string.concat(
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"Final Floor: tick [",
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_istr(fLo),
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", ",
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_istr(fHi),
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"] liq=",
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_str(uint256(fLiq))
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)
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);
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console2.log(
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string.concat(
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"Final Anchor: tick [",
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_istr(aLo),
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", ",
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_istr(aHi),
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"] liq=",
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_str(uint256(aLiq))
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)
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);
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console2.log(
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string.concat(
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"Final Discovery: tick [",
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_istr(dLo),
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", ",
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_istr(dHi),
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"] liq=",
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_str(uint256(dLiq))
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)
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);
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console2.log(string.concat("Final Floor: tick [", _istr(fLo), ", ", _istr(fHi), "] liq=", _str(uint256(fLiq))));
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console2.log(string.concat("Final Anchor: tick [", _istr(aLo), ", ", _istr(aHi), "] liq=", _str(uint256(aLiq))));
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console2.log(string.concat("Final Discovery: tick [", _istr(dLo), ", ", _istr(dHi), "] liq=", _str(uint256(dLiq))));
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tracker.logFinalSummary(lastRecenterBlock);
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}
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// -------------------------------------------------------------------------
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@ -184,84 +214,38 @@ contract StrategyExecutor {
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function _logRecenter(
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uint256 blockNum,
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uint128 fLiqPre, int24 fLoPre, int24 fHiPre,
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uint128 aLiqPre, int24 aLoPre, int24 aHiPre,
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uint128 dLiqPre, int24 dLoPre, int24 dHiPre,
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uint128 fLiqPost, int24 fLoPost, int24 fHiPost,
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uint128 aLiqPost, int24 aLoPost, int24 aHiPost,
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uint128 dLiqPost, int24 dLoPost, int24 dHiPost,
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uint128 fLiqPre,
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int24 fLoPre,
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int24 fHiPre,
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uint128 aLiqPre,
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int24 aLoPre,
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int24 aHiPre,
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uint128 dLiqPre,
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int24 dLoPre,
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int24 dHiPre,
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uint128 fLiqPost,
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int24 fLoPost,
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int24 fHiPost,
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uint128 aLiqPost,
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int24 aLoPost,
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int24 aHiPost,
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uint128 dLiqPost,
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int24 dLoPost,
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int24 dHiPost,
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uint256 feesWeth,
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uint256 feesKrk
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)
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internal
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view
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{
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console2.log(
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string.concat("=== Recenter #", _str(totalRecenters), " @ block ", _str(blockNum), " ===")
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);
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console2.log(
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string.concat(
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" Floor pre: tick [",
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_istr(fLoPre),
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", ",
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_istr(fHiPre),
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"] liq=",
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_str(uint256(fLiqPre))
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)
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);
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console2.log(
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string.concat(
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" Anchor pre: tick [",
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_istr(aLoPre),
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", ",
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_istr(aHiPre),
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"] liq=",
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_str(uint256(aLiqPre))
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)
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);
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console2.log(
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string.concat(
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" Disc pre: tick [",
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_istr(dLoPre),
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", ",
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_istr(dHiPre),
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"] liq=",
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_str(uint256(dLiqPre))
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)
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);
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console2.log(
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string.concat(
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" Floor post: tick [",
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_istr(fLoPost),
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", ",
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_istr(fHiPost),
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"] liq=",
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_str(uint256(fLiqPost))
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)
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);
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console2.log(
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string.concat(
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" Anchor post: tick [",
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_istr(aLoPost),
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", ",
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_istr(aHiPost),
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"] liq=",
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_str(uint256(aLiqPost))
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)
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);
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console2.log(
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string.concat(
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" Disc post: tick [",
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_istr(dLoPost),
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", ",
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_istr(dHiPost),
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"] liq=",
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_str(uint256(dLiqPost))
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)
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);
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console2.log(
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string.concat(" Fees WETH: ", _str(feesWeth), " Fees KRK: ", _str(feesKrk))
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);
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console2.log(string.concat("=== Recenter #", _str(totalRecenters), " @ block ", _str(blockNum), " ==="));
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console2.log(string.concat(" Floor pre: tick [", _istr(fLoPre), ", ", _istr(fHiPre), "] liq=", _str(uint256(fLiqPre))));
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console2.log(string.concat(" Anchor pre: tick [", _istr(aLoPre), ", ", _istr(aHiPre), "] liq=", _str(uint256(aLiqPre))));
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console2.log(string.concat(" Disc pre: tick [", _istr(dLoPre), ", ", _istr(dHiPre), "] liq=", _str(uint256(dLiqPre))));
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console2.log(string.concat(" Floor post: tick [", _istr(fLoPost), ", ", _istr(fHiPost), "] liq=", _str(uint256(fLiqPost))));
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console2.log(string.concat(" Anchor post: tick [", _istr(aLoPost), ", ", _istr(aHiPost), "] liq=", _str(uint256(aLiqPost))));
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console2.log(string.concat(" Disc post: tick [", _istr(dLoPost), ", ", _istr(dHiPost), "] liq=", _str(uint256(dLiqPost))));
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console2.log(string.concat(" Fees WETH: ", _str(feesWeth), " Fees KRK: ", _str(feesKrk)));
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}
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// -------------------------------------------------------------------------
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